Literature summary: Effects of inclusion in existing indices
| Empirical study | Country | Index | Study period | Event window | Findings |
|---|---|---|---|---|---|
| Shleifer (1986) | USA | S & P 500 | 1966–1983 | (−20, +20) | Statistically significant positive AR |
| Harris and Gurel (1986) | USA | S & P 500 | 1973–1983 | (−10, +30) | Statistically significant positive AR |
| Chen et al. (2004) | USA | S & P 500 | 1962–2000 | (AD, CD +60) | Statistically significant positive AR |
| Li and Sadeghi (2009) | China | S&P/CITIC 300 index | 2004–2007 | (−30, +45) | Statistically significant negative AR |
| Cheung (2011) | USA | Dow Jones Sustainability World Index (DJSWI) | 2002–2008 | (AD−15, CD+60) | Statistically significant positive AR on CD |
| Oberndorfer et al. (2011) | Germany | DJSI STOXX and DJSI World | 1999–2002 | (−5, +5) | No statistically significant AR for DJSI STOXX. Statistically significant negative AR for DJSI World |
| Febrian et al. (2013) | Indonesia | Jakarta Islamic Index (JII) | 2007–2011 | (−5, +5) | Statistically significant positive AR |
| Kassim et al. (2017) | Malaysia | FTSE Bursa Malaysia EMAS Shariah Index (FBMESI) | 2007–2014 | (60, +60) | Statistically significant positive AR |
| Hayward (2018) | USA | Dow Jones North America Sustainability Index | 2005–2016 | (−15, +60) | Statistically significant positive AR |
| Goyal and Soni (2025) | India | S&P BSE 100 ESG index | 2017–2022 | (AD−15, CD+60) | No statistically significant AR |
| Barontini and Gioja (2025) | Italy | MSCI ESG Indices | 2011–2021 | (AD−10, CD+30) | Statistically significant positive AR |
| Empirical study | Country | Index | Study period | Event window | Findings |
|---|---|---|---|---|---|
| USA | S & P 500 | 1966–1983 | (−20, +20) | Statistically significant positive AR | |
| USA | S & P 500 | 1973–1983 | (−10, +30) | Statistically significant positive AR | |
| USA | S & P 500 | 1962–2000 | (AD, CD +60) | Statistically significant positive AR | |
| China | S&P/CITIC 300 index | 2004–2007 | (−30, +45) | Statistically significant negative AR | |
| USA | Dow Jones Sustainability World Index (DJSWI) | 2002–2008 | (AD−15, CD+60) | Statistically significant positive AR on CD | |
| Germany | DJSI STOXX and DJSI World | 1999–2002 | (−5, +5) | No statistically significant AR for DJSI STOXX. Statistically significant negative AR for DJSI World | |
| Indonesia | Jakarta Islamic Index (JII) | 2007–2011 | (−5, +5) | Statistically significant positive AR | |
| Malaysia | FTSE Bursa Malaysia EMAS Shariah Index (FBMESI) | 2007–2014 | (60, +60) | Statistically significant positive AR | |
| USA | Dow Jones North America Sustainability Index | 2005–2016 | (−15, +60) | Statistically significant positive AR | |
| India | S&P BSE 100 ESG index | 2017–2022 | (AD−15, CD+60) | No statistically significant AR | |
| Italy | MSCI ESG Indices | 2011–2021 | (AD−10, CD+30) | Statistically significant positive AR |
Note(s): AD denotes Announcement Day, and CD denotes Change Day
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